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ima
DescriptionThe aggregate (non-DRC) capital requirement which disregards individual desks capital treatment, as if all positions were under IMA approach
Variationseuler, incremental, spot
Reference[MAR33.41]
NotationCAC_A
FormulaCA=max{IMCCt−1+SESt−1;mc⋅IMCCavg+SESavg}\displaystyle C_A=max\left \{ IMCC_{t-1} + SES_{t-1}; m_c \cdot IMCC_{avg}+SES_{avg} \right \}